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Testing for common cointegrating rank in dynamic panels
Larsson, Rolf; Lyhagen, Johan - Economics Institute for Research (SIR), … - 2000
The panel cointegration test of Larsson et al (1998) test for the maximum number of cointegrating relations in a …
Persistent link: https://www.econbiz.de/10005207177
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Likelihood-Based Inference in Multivariate Panel Cointegration Models
Larsson, Rolf; Lyhagen, Johan - Economics Institute for Research (SIR), … - 1999
This paper presents a general likelihood-based framework for inference in panel-VAR models with cointegrating restrictions. The cointegrating relations are restricted to each cross-section while the rest of the model is unrestricted. The homogenous restriction of common cointegrating space is...
Persistent link: https://www.econbiz.de/10005207209
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Likelihood-Based Cointegration Tests in Heterogeneous Panels
Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998
This paper presents a likelihood-based panel test of cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on this,...
Persistent link: https://www.econbiz.de/10005649283
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Testing for stationarity in a cointegrated system
Kunst, Robert M. - 2002
best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …
Persistent link: https://www.econbiz.de/10010292762
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Testing for Stationarity in a Cointegrated System
Kunst, Robert M. - Department of Economics and Finance Research and … - 2002
best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …
Persistent link: https://www.econbiz.de/10005764208
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The Carbon Kuznets Curve: A cloudy picture emitted by bad econometrics?
Wagner, Martin - 2006
In recent years many empirical studies of environmental Kuznets curves employing unit root and cointegration techniques …
Persistent link: https://www.econbiz.de/10010294035
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Structural analysis of vector error correction models exogenous i(1) variables
Pesaran, M; Smith, R; Shin, Yongcheol - School of Economics, University of Edinburgh - 2004
This paper generalizes the existing cointegration analysis literature in two respects. Firstly, the problem of …
Persistent link: https://www.econbiz.de/10005750747
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Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration
Binder, M.; Hsaio, C.; Pesaran, M.H. - Faculty of Economics, University of Cambridge - 2000
derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that …
Persistent link: https://www.econbiz.de/10005113820
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The Carbon Kuznets Curve: A Cloudy Picture Emitted by Bad Econometrics?
Wagner, Martin; Müller-Fürstenberger, Georg - Department Volkswirtschaftlehre, Universität Bern - 2004
(panel) unit root and cointegration techniques, widely used by now in the Kuznets curve literature, cannot be applied …, is that the unit root and cointegration methods have been used too uncritically. In particular the notorious small sample … problems of unit root and cointegration problems have been neglected. By applying various bootstrap algorithms and several …
Persistent link: https://www.econbiz.de/10005730943
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The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?
Wagner, Martin - Department of Economics and Finance Research and … - 2006
In recent years many empirical studies of environmental Kuznets curves employing unit root and cointegration techniques …
Persistent link: https://www.econbiz.de/10005704190